Trend- following strategies, whether systematic or discretionary, typically don’t have more than 40 percent profitable trades. Although this doesn’t necessarily mean the strategy (or a specific trade- trigger level) is useless, it raises the possibility of improving performance by estimating the likelihood of a successful breakout — as a breakout is about to occur.

If this was possible, you could exclude those trade signals with the least likelihood of success, adjust your position size depending on the likelihood of a successful trade, or even fade certain signals if the analysis indicates the market is more likely to reverse rather than continue its trend.

The average price (e.g., in a moving average) is probably the most common tool used to trigger trend- following entries and exits, but using the median price instead has one inherent advantage: It can be used to make an advance estimate of the likelihood of a successful breakout or reversal.

To create an indicator to accomplish this task, however, you first need to think about how to derive breakout or crossover price levels, which requires some thought about volatility and support and resistance theory.